What’s an acceptable max DD for a strategy?

Let’s assume you have a strategy that produces 50% return (without any leverage) with an expected 10% max DD. Now if you double the size, return would go up quite a bit but so will the DD. The question is what should be the right balance. Obviously you don’t want to have 1000% returns and a 100% DD..

 

there is no change in corrolation by varying size up to 5 times market capacity.

 

So your suggestion is 5X leverage with a 50% DD?

 

any opinions here?

 

Sorry I wasn't clear.

50% and 10% are in a constant unvarying corrolation.

For any size thai remains the same.

I posted a trading size limit. Size means the number of contracts being traded.

If you see the capacity the market attains as a value, then that value you know is being traded in bunches of consecutive blocks on the T&S.

As a trading participant in that market, you personally can be holding a position 5X this value of contracts for the capacity.

When I am holding such a position where the market capacity is 1/5 of my position, then to reverse (Ido not do entry/exit skill level of trading) I do several partial fills with market trades to complete my reversal. They will not appear as consecutive trades on the T&S, either.

I did not suggest 250 and 50 to you (you mentioned a 50% for DD)

 

lol rly?

You seem to be quite the expert on correlation. Is that Cyrillic?

 

That's ok Jack,shit happens.I got a remedy for you.Take each post,reprint it 50 times minimum,scan and the post it.Then I'll try to point you what was wrong.

 

here you go:

"there is no change in corrolation by varying size up to 5 times market capacity."


give it a shot.

 

almost. My bad.

 

Oh,it's simple,Jack.It just means Buy low and Sell high.Am I correct?